7. Robert Litterman and Jose Scheinkman, “Common Factors Affecting Bond Returns,” Journal of Fixed Income (September 1991), pp. 54–61; Alfred Bühler and Heinz Zimmermann, “A Statistical Analysis of the Term Structure of Interest Rates in Switzerland and Germany,” Journal of Fixed Income (December 1996), pp. 55–67; Joel R. Barber and Mark L. Copper, “Immunization Using Principal Component Analysis,” Journal of Portfolio Management (Fall 1996), pp. 99–105; Rita L. D’Ecclesia and Stavros Zenios, “Risk Factor Analysis and Portfolio Immunization in the Italian Bond Market,” Journal of Fixed Income (September 1994), pp. 51–58; Bennett W. Golub and Leo M. Tilman, “Measuring Yield-Curve Risk Using Principal Components Analysis, Value at Risk, and Key Rate Durations,” Journal of Portfolio Management (Summer 1997), pp. 72–84; Lionel Martellini and Philippe Priaulet, Fixed Income Securities: Dynamic Methods for Interest Rate Risk Pricing and Hedging (Chichester, England: Wiley, 2000); Sandrine Lardic, Philippe Priaulet, and Stephane Priaulet, “PCA of Yield-Curve Dynamics: Questions of Methodologies,” Journal of Bond Trading and Management (April 2003), pp. 327–349.

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